Cross hedging price risk in an incomplete financial market creates basis risk. We propose a new way of modeling basis … necessary and sufficient condition for underhedging in an unbiased market. Using the example of cross hedging jet fuel price … cross hedges differ significantly from those derived under the traditional additive cross hedging model …

This paper investigates the determinants of hedging strategy choice. We introduce different dynamic discrete choice … frameworks with random effects to mitigate unobserved heterogeneity and state dependence. Using a new dataset on the hedging … activities of 150 US oil and gas producers, we find strong evidence that hedging strategy is influenced by investment …

market factors, its volatility and the quality of hedging. The wrong way risk is most significant for exposures highly … CVA hedging strategy. While the benefits from hedging are always magnified in the situation of the wrong way risk, the …

We propose a maximum-expected utility hedging model with futures where cash and futures returns follow a bivariate skew … normality, skewness has a material impact when the agent is significantly risk averse. Pure hedging demand is either greater or … pure hedging and minimum-variance demand increases with basis risk, i.e. the imperfect correlation between cash and futures …

successful in reducing capital requirements. Indeed the proposed local hedging scheme benefits from a higher exposure to equity …

cause dynamic hedging to fail. As an alternative, we investigate a quasi-static hedge of Parisian options under a more … contingent claims which are statically hedged. Through numerical experiments, we show the effectiveness of the suggested hedging …

This research focuses on the ultimate impact of hedging effectiveness on firm performance. Successful risk management … quarterly earnings per share). We empirically estimate the hedging profile of 5,586 non-financial firms (spanning 25 industries … and other firm characteristics – identifies the impact of the firm's hedging profile on firm performance. We find a strong …

We examine the efficiency of hedging a credit derivative portfolio with a contrary position in a credit index in the …, the implied adjustments in capital charges could be reduced by the mentioned hedging strategy, and we show that there is … volatility are high. Increases in VIX, in the 10-year swap rate or in liquidity risk tend to decrease hedging efficiency …

We propose a maximum-expected utility hedging model with futures where cash and futures returns follow a bivariate skew … normality, skewness has a material impact when the agent is significantly risk averse. Pure hedging demand is either greater or … pure hedging and minimum-variance demand increases with basis risk, i.e. the imperfect correlation between cash and futures …